An introduction to wavelet theory in finance. A wavelet multiscale approach.
DOI10.1142/8431zbMATH Open1276.91003OpenAlexW4210644337MaRDI QIDQ4649463FDOQ4649463
Authors: Francis In, Sang-Bae Kim 
Publication date: 22 November 2012
Full work available at URL: https://doi.org/10.1142/8431
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Fourier transformeconometricsfinancewavelet transformstock returnswavelet theoryLIBORwavelet multiscaling method
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Applications to the sciences (65Z99)
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- Macro-financial dynamics: theories, empirical methods, and time scales
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- A parallel wavelet-based pricing procedure for Asian options
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Wavelet multidimensional scaling analysis of European economic sentiment indicators
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